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Start Over Author "Réveillac, Anthony" Journal comptes rendus. mathematique
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1. Superefficient drift estimation on the Wiener space

Author

Privault, Nicolas and Réveillac, Anthony

Subjects
*MALLIAVIN calculus, *WIENER processes, *FLUCTUATIONS (Physics), *STOCHASTIC analysis, *MARKOV processes
Abstract

Abstract: In the framework of a nonparametric functional estimation for the drift of a Brownian motion we construct Stein type estimators of the form which are superefficient when is a superharmonic functional on the Wiener space for the Malliavin derivative D. To cite this article: N. Privault, A. Réveillac, C. R. Acad. Sci. Paris, Ser. I 343 (2006). [Copyright &y& Elsevier]

Published
2006
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